Sumps are a tank or water box, usually situated below main tank water level, that water flows into by gravity and siphon, and is returned to the tank via a pump.
Sumps also expand the water volume of the system. If you have a 50 gal tank, and a 20 gal volume in the sump, then the water volume of your system is increased to 70 gallons even though the space inside the display tank remains the same.
Sumps do best with a tank that is drilled for a built in overflow. This avoids the worry about a HOB overflow loosing siphon. When siphon is lost on a HOB overflow, the sump's pump continues to send the sump water back into the tank even though none is leaving the tank via the overflow. If your main tank water level plus the sump volume is too much, a flood results. HOB overflow malfunction is not common though.
Sumps also gurgle, creating more noise than HOB filters or canister filters.
They are more costly to buy, unless you DIY. Even with DIY, after plumbing, pump, overflow, and sump your cost will likely be well above a HOB filter, and perhaps higher than most canisters. Still hard to overcome the extra cost of a pre-drilled tank with interior, built in overflows.
Many aquarium set ups do not have room under the tank for a very large sump, reducing the benefit of extra volume. With in line heaters and canister filters, you don't need a sump to get unsightly equipment out of the tank.
Thus, most FW sump users do so because they already have the equipment needed to make one (eliminating the cost issue), they need the extra water volume, or they enjoy building things.